Realized power variation and stochastic volatility models

被引:119
作者
Barndorff-Nielsen, OE [1 ]
Shephard, N
机构
[1] Aarhus Univ, Ctr Math Phys & Stochast, DK-8000 Aarhus C, Denmark
[2] Univ Oxford Nuffield Coll, Oxford OX1 1NF, England
关键词
absolute returns; mixed asymptotic normality; p-variation; quadratic variation; realized volatility; semimartingale;
D O I
10.3150/bj/1068128977
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Limit distribution results on realized power variation, that is, sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers, for example, the cases of realized volatility and realized absolute variation. Such results should be helpful in, for example, the analysis of volatility models using high-frequency information.
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页码:243 / 265
页数:23
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